Optionity Daily Report 02/07/2013
Date: February 7, 2013
Daily Market Statistics
Source: Barrons
S&P 500 5-Day Daily Chart
Source: Google Finance
Economic Calendar
Source: Briefing
Options Market Recap
The market sentiment was driven by extreme greed with Fear & Greed Index at 84, which had decreased from the previous close of 87. As reported by CBOE, the total put/call ratio was 1.03 for the day. The index put/call ratio was 1.26, and the equity put/call ratio was 0.66. The CBOE volatility index (VIX) put/call ratio was 0.52. The stocks with unusual call activities had been identified through our daily options scanning process, with the scanning criteria where the daily call option volume ratio was above 2.00 (2x of the average call option volume) with a call option volume above 10,000. Unusual option activities can be an indicator or precursor of a major movement for the underlying stock.
| Symbol | Call Option Volume | Average Call Option Volume | Daily Volume Ratio | Events |
| BA | 30,256 | 14,076 | 2.15 | Statement on NTSB |
| VVUS | 11,831 | 5,405 | 2.19 | Qsymia result |
| V | 14,508 | 6,405 | 2.27 | Earnings |
| KO | 18,866 | 8,135 | 2.32 | 14,117 |
| EXC | 10,062 | 4,125 | 2.44 | Earnings |
| MON | 10,577 | 4,197 | 2.52 | 3,214 |
| ANF | 26,230 | 10,025 | 2.62 | Analyzed |
| DBA | 12,414 | 4,715 | 2.63 | 1,472 ETF |
| COF | 11,627 | 3,511 | 3.31 | Ex-dividend |
| GMCR | 85,423 | 20,819 | 4.10 | Earnings |
| LBTYA | 11,296 | 2,334 | 4.84 | Acquisition of Virgin Media |
| GPS | 23,802 | 4,867 | 4.89 | Analyzed |
| LNKD | 41,170 | 7,906 | 5.21 | Earnings |
| RVBD | 19,720 | 3,440 | 5.73 | Earnings |
| WM | 20,415 | 3,137 | 6.51 | 4,610 |
| BYD | 10,262 | 1,434 | 7.16 | 470 |
| CSTR | 40,477 | 4,689 | 8.63 | Earnings |
| AAP | 13,588 | 1,488 | 9.13 | Earnings |
Source: Schaeffer’s Research
Market Volatility and Analysis
For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is showing a bearish trend but the MACD difference converged. RSI (14) had increased to 46.73 from 46.20. It could signal a market reversal if the MACD difference starts to converge and the MACD Histogram moves into the positive territory.
SPY opened flat, dropped to $149.86 intra-day low, and closed with 0.15% loss. The volume was 31.59M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend and the MACD Histogram decreased slightly and closed at 0.820 (decreased from 0.833). SPY is currently trading above its 200-day MA of $117.68 and its 50-day MA of $138.89. RSI (14) decreased to 67.69 from 68.23 with decreasing buying momentum. The next resistance is $154.09 (R1), followed by $161.81 (R2).
Optionity Core-20 Options Portfolio (Credit Put Strategy)
Stock criteria:
- Large Cap with low beta
- Fair/Under-valued
- Consistent, strong earnings
- Dividend distribution
- High liquidity, large volume
- Good/strong economic moat
This options portfolio consists of 20 core stocks. The portfolio will employee mainly the credit put strategy with the primary objective of generating consistent cash flow. The portfolio focuses on 1) sufficient sector diversification 2) risk/reward ratio control 3) margin of safety by leveraging options.
Daily portfolio performance will be updated at Seeking Alpha Instablog and Optionity.com.
Transaction details will be updated whenever new position is opened or the existing position is closed/expired/adjusted.
Pending transaction(s) to be setup:
Credit short put GE May 20, 2013 $20/$21 put (Target $0.19-$0.20)
Credit short put INTC Mar. 16, 2013 $19/20 put (Target $0.20)
Core-20 Stocks Update
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